摘要
由於全球利率長期持續性的下滑，台灣有愈來愈多投資人以定期的存股方式來取代定存。本文從長期存股的角度來探討價值型股票或是成長型股票何者較適合作為長期存股的標的。研究結果發現各種不同分類下的成長組股票，在分組當月都有顯著的正超額報酬，而價值組股票則有顯著的負超額報酬，但是成長組的後續績效卻比價值型組差，三個價值組在三因子模型下都享有正超額報酬，因此可以說成長組(價值組)股票可能在被高(低)估的情況下買進，因此當日後市場回復理性後，就容易出現所謂的反轉效應，研究結果顯示不論持有期的長短(1個月至10年)，成長型股票與價值型股票的反轉效應都很顯著。另外從持股內容上來看，成長(價值)型組偏向持有贏(輸)家股票、淨值股價比較低(高)與小(大)規模的股票，我們也發現當股市處於空頭或利率出現下降趨勢的情況下，價值型股票相較於成長型股票會有較佳的表現。本文與過去文獻的不同在於除了分析價值股與成長股的長期績效外，本文也更進一步分析影響兩者間相對績效的因素。
關鍵詞：存股、成長型股票、價值型股票、反轉效應、淨值股價比
Abstract
Due to the long-term decline in global interest rates, more and more investors in Taiwan are replacing time deposits with regular stock deposits. This paper aimed to discusses from the perspective of long-term stock deposit whether value stocks or growth stocks are more suitable as the target of long-term stock deposit. The results showed that the growth-stock groups under different categories have significant positive excess returns in the current month, while the value-stock groups have significant negative excess returns. However, the subsequent performance of the growth stocks is worse than that of the value stocks. The four value-stock groups have positive excess returns under the three-factor model, so it can be said that the growth (value) stocks may be bought overvalued (undervalued). Therefore, the so-called reversal effect can easily occur after the market returns to rationality. The results showed that the reversal effect is evident for both growth and value stocks, regardless of the length of holding time (1 month to 10 years). In terms of holding content, the growth (value) group tends to hold winner (loser) stocks, stocks with relatively low (high) book-to- market price ratios and small (large) firm sizes. We also found that value stocks perform better than growth stocks when the stock market is in a bear market or when interest rates are in a downtrend. The difference between this paper and the previous literature is that, in addition to analyzing the long-term performance of value stocks and growth stocks, this paper further analyzed the factors that affect their relative performance.
Keywords: Stock Depositing, Growth Stocks, Value Stocks, Reversal Effect, Book to Market Price Ratio